Thursday, July 02, 2009

Implied Volatilities for FX Majors - 1 Jul 2009, 2235h

Sequence from left to right = 1 wk, 1 mth, 2 mths, 3 mths, 6 mths, 1 yr

EUR/USD = 12.40, 12.80, 12.95, 13.25, 13.75, 13.90

USD/JPY = 12.50, 12.95, 13.00, 13.25, 13.40, 13.60

GBP/USD = 14.00, 13.90. 14.20, 14.30, 14.45, 14.55

USD/CHF = 12.65, 12.55, 12.65, 12.95, 13.15, 13.25

AUD/USD = 16.25, 17.40, 17.70, 17.90, 18.00, 18.10

USD/CAD = 13.50, 14.45, 14.50, 14.75, 14.80, 15.25

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